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Third International Conference on Credit Analysis and Risk Management Third International Conference on Credit Analysis and Risk Management Third International Conference on Credit Analysis and Risk Management Edited by Joseph Callaghan, Austin Murphy and Hong Qian Third International Conference on Credit Analysis and Risk Management Edited by Joseph Callaghan, Austin Murphy and Hong Qian This book first published 2015 Cambridge Scholars Publishing Lady Stephenson Library, Newcastle upon Tyne, NE6 2PA, UK British Library Cataloguing in Publication Data A catalogue record for this book is available from the British Library Copyright © 2015 by Joseph Callaghan, Austin Murphy, Hong Qian and contributors All rights for this book reserved. No part of this book may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without the prior permission of the copyright owner. ISBN (10): 1-4438-7648-8 ISBN (13): 978-1-4438-7648-3 TABLE OF CONTENTS Introduction ................................................................................................. 1 A Summary of the Third International Conference on Credit Analysis and Risk Management Austin Murphy Chapter One ................................................................................................. 5 Default Models: Past, Present and Future Terry Benzschawel Chapter Two .............................................................................................. 93 A Summary of “Assessing the Credit Risk of Money Market Funds during the Eurozone Crisis” Sean Collins and Emily Gallagher Chapter Three .......................................................................................... 102 Credit Risk Modeling in Segmented Portfolios: An Application to Credit Cards José J. Canals-Cerdá and Sougata Kerr Chapter Four ............................................................................................ 131 Effects of Macroeconomic Activity on Credit Risk of Corporate Bond: A Study Based on Emerging Country Rimpa Saha and Arun Kumar Gopalaswamy Chapter Five ............................................................................................ 148 Model for Sovereign Default and Relative Value Terry Benzschawel, Yong Su, and Andrew Mortimer Chapter Six .............................................................................................. 194 Risk Models for CMO with Credit Tranching Dror Parnes and Michael Jacobs vi Table of Contents Chapter Seven .......................................................................................... 200 A Summary of “The Relation between Counter-Party Default and Interest Rate Volatility, and its Impact on the Credit Risk of Interest Rate Derivatives” Geoffrey R. Harris, Tao L. Wu, and Jiarui Yang Chapter Eight ........................................................................................... 204 Liquidity and Corporate Governance: Evidence from Family Firms Liang Fu Chapter Nine ............................................................................................ 206 Can Balance Sheet Diversification Substitute for the Bank Capital? Matjaz Steinbacher and Mitja Steinbacher Chapter Ten ............................................................................................. 230 Joining Risks and Rewards Harvey J. Stein Chapter Eleven ........................................................................................ 241 The Credit Risk Premium: Measurement, Hedging and Prediction Terry Benzschawel and Yong Su Chapter Twelve ....................................................................................... 276 Fixing Underexposed Snapshots: Proper Computation of Credit Exposures under the Real World and Risk Neutral Measures Harvey J. Stein Chapter Thirteen ...................................................................................... 284 Measuring and Correcting for the Underestimation of the Systematic Risk of Fixed-Income Securities Austin Murphy Chapter Fourteen ..................................................................................... 287 Analysis of Loss Given Default: A Literature Review and Classification Abdolreza Nazemi, Maryam Mirzaei and Markus Hoechstoetter Chapter Fifteen ........................................................................................ 303 When Sovereign Risk Suddenly Matters (again): Empirical Evidence from the European Debt Crisis Matthias Haerri, Stefan Morkoetter and Simone Westerfeld INTRODUCTION A SUMMARY OF THE THIRD INTERNATIONAL CONFERENCE ON CREDIT ANALYSIS AND RISK MANAGEMENT AUSTIN MURPHY1 The Third International Conference on Credit Analysis and Risk Management was held on August 21-22, 2014, in Rochester, MI, at Oakland University, whose Enterprise Risk Analysis Institute in the Department of Accounting and Finance founded the conference series in 2011. The conference was as informative, useful, and enjoyable as the prior two. The chapters in this book summarize some of the presentations and discussions that occurred in the 2014 conference. Terry Benzschawel, Global Bond Portfolio Analysis Director at Citibank, led off the conference with a fabulous review of past trends in credit analysis that provided substance for forecasting future directions for this vital financial science. The first chapter is devoted to his writing on this presentation. Subsequent chapters by various authors summarize presentations on numerous topics. These include an investigation into the actual risks associated with money market funds, a credit card loss analysis, an overview of macroeconomic credit risks in emerging markets, a sovereign bond trading strategy, models of collateralized debt obligations, loan screening with credit transfer, credit risk with off-balance-sheet obligations, counterparty risk, a model of bank credit risk with contagion, internal liquidity management issues, general models of estimating default risk, hedging debt portfolios, a new measure of debt systematic risk, losses upon default, Basel III analysis, and the effect of sovereign risk on domestic corporate credit spreads. 1 The author is from Oakland University. Email: [email protected]. 2 Introduction There were also many other informative seminars, including ones given by three other keynote speakers. Kevin Cooper of Ford Motor Credit provided a fascinating talk on credit risk management for automobile loans. Professor Tyler Shumway of the University of Michigan at Ann Arbor supplied a unique analysis of the credit risk involved in the private firm loan market. Kevin Bodie of Comerica Bank supplied great insights into the management of commercial loan risk. A listing of all the conference sessions is provided in Exhibit 1. The next conference in this series is scheduled for August 27-28, 2015, in Basel, Switzerland. See http://www.oakland.edu/business/creditconf Exhibit 1 Schedules for the Third International Conference on Credit Analysis and Risk Management* Thursday, August 21, 2014 1p.m. - 2:00 p.m. Credit Risk Models: Past, Present, and Future (Introductory Keynote Speaker Terry Benzschawel, Citibank) 2 p.m. – 2:30 p.m. Industry Characteristics and Debt Contracting (Alon Kalay and Gil Sadka, Columhia Business School) Introducing the Exchange Traded Pieced Loan (Richard Bussman, Central China Normal University) 2:45 p.m. – 3:15 p.m. Proper Computation of Credit Exposures under the Real World and Risk Neutral Measures (Harvey Stein, Bloomberg) Systematic Risk and Yield Premiums in Bonds (Austin Murphy, Oakland University) 3:45 p.m. – 4:15 p.m. The Stochastic Recovery Rate in CDS (Chanatip Kitwiwattanachai, University of Connecticut) Sovereign Risk Spreads in Europe (Yan Sun, IMF, and Frigyes Ferdinand Heinz, IMF) 4:30 p.m. – 5:00 p.m. The Relation between Counterparty Default and Interest Rate Volatility, and its Impact on the Credit Risk of Interest-Rate Derivatives (Tao Wu, Illinois Institute of Technology) Assessing Credit Risk in Money Market Portfolios (Emily Gallagher, Paris School of Economics) A Summary of the Third International Conference 3 6 p.m. - 8:45 p.m. Dinner with Keynote Speaker Kevin Cooper (Ford Motor Credit) at Oakland University Meadow Brook Hall Friday, August 22, 2014 8 a.m. – 9 a.m. Day’s Opening Keynote Speaker Kevin Bodie (Comerica) 9:15 a.m. – 9:45 a.m. Banks' Loan Screening Incentives with Credit Risk Transfer (Marc Arnold, University of St. Gallen) The Credit Risk Premium: Measurement, Hedging, and Prediction (Terry Benzschawel, Citibank) 10 a.m. – 10:30 a.m. Applying Technology to Enhance Decisioning throughout the Credit Lifecycle (Tara kinner, SAS) Does the Macro-economy Impact Industry Credit Risk: A Study in an Emerging Market (Rimpa Saha, Arunkumar Gopalaswamy, Indian Institute of Technology) 10:45 a.m.–11:15 a.m. Forecasting Loan Loss Rates using Multivariate Time-Series Models (Hongbing Chen, Stonegate Mortgage) Model for Sovereign Default Risk and Relative Value (Terry Benzschawel, Citibank) 11:30 a.m. – 12:45 p.m. Lunch with Keynote Speaker Tyler Shumway (University of Michigan), “Forecasting Defaults of Private Firms” 1 p.m. – 1:30 p.m. Can Balance Sheet Diversification Substitute for the Bank Capital? (Matjaz Steinbacher. Kiel Institute for the World Economy) Liquidity and Corporate Governance: Evidence from Family Firms (Liang Fu, Oakland University) 1:45 p.m. – 2:15 p.m. How Does Government Borrowing Affect Corporate Financing and Investment? (Mark Leary, Washington University) Credit Risk Measurement, Leverage, and Basel III (Marianne Ojo, North West University, South Africa)
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